Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0532
Annualized Std Dev 0.1837
Annualized Sharpe (Rf=0%) 0.2895

Row

Daily Return Statistics

Close
Observations 3574.0000
NAs 1.0000
Minimum -0.0941
Quartile 1 -0.0053
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0061
Maximum 0.1184
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0116
Skewness -0.1378
Kurtosis 7.8071

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0080
Loss Deviation 0.0087
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.4815
Historical VaR (95%) -0.0178
Historical ES (95%) -0.0276
Modified VaR (95%) -0.0174
Modified ES (95%) -0.0286
From Trough To Depth Length To Trough Recovery
2011-08-23 2015-12-17 NA -0.4815 2409 1088 NA
2008-03-18 2008-11-12 2009-10-07 -0.2929 394 168 226
2009-12-03 2010-02-08 2010-05-11 -0.1285 109 45 64
2010-12-07 2011-01-27 2011-03-01 -0.0820 58 36 22
2007-11-08 2007-12-17 2008-01-02 -0.0801 37 27 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.6 -1.1 0.5 -0.7 1.5 0.1 -0.3 1.3 0.6 -0.3 -1 -0.5 0.7
2008 -2.2 0.1 -4.1 -2.9 1 1.6 -0.5 -0.5 0.9 -1.2 -5.8 0.9 -12.2
2009 2 -0.5 0.9 -0.2 -0.5 1.2 1.9 0.6 -0.9 -0.1 1.5 0.3 6.3
2010 2.1 -0.1 1.2 0.9 0.9 -3.8 1 -0.3 0.8 -0.5 0 1.2 3.3
2011 0.7 1.7 -0.6 1.6 0.2 -0.8 -0.4 0.2 0.2 0.1 -0.1 1.1 4
2012 0.1 1.6 0.4 -0.3 3.9 2.8 -0.8 2.2 0.2 -0.4 -0.7 0.9 10.1
2013 0.2 -0.4 0.1 -1.2 -2.1 1.6 -0.9 -0.9 -2.9 -0.6 1.1 0.6 -5.3
2014 0.2 -0.4 -0.2 -0.4 -0.5 -0.1 0.7 -0.2 0.4 -2.4 4.2 -1.5 -0.4
2015 2.4 -0.3 1.7 -0.6 0.1 -0.5 0.7 0.3 -0.2 -0.5 0.3 0.1 3.5
2016 1.1 -0.6 -0.7 2 -0.2 1.6 0 0.4 -0.5 0.8 -0.2 -0.5 3.1
2017 -0.2 -0.2 0.2 -0.9 0.1 -0.2 -0.3 0.2 -0.4 0.4 0.5 0.7 -0.3
2018 0.5 -0.2 0 -0.8 -0.5 0.4 -0.8 -0.1 -0.1 1.4 -0.4 0.2 -0.4
2019 -0.1 -1.7 -0.4 -0.6 1.3 -1.9 2.3 -0.1 0.6 -0.2 0.6 0 -0.2
2020 0.7 -3.7 0.8 1.1 0.3 -0.6 0.9 0.8 1.2 0.4 2.1 0.2 4.1
2021 0.9 -0.6 0.3 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-05  24.1 SPY    141. -0.008  -0.0138   -0.0053   0.0417   0.104     0.250    0.203 GLD    60.2 -0.024   -0.0329
2 2007-01-08  24.2 SPY    141.  0.0046 -0.0072   -0.005    0.0445   0.108     0.254    0.200 GLD    60.5  0.0052  -0.0385
3 2007-01-09  24.4 SPY    141. -0.0008 -0.0039   -0.005    0.0449   0.0983    0.249    0.208 GLD    60.8  0.0061  -0.0373
4 2007-01-10  24.4 SPY    142.  0.0033  0.00120   0.0027   0.0477   0.0992    0.248    0.215 GLD    60.6 -0.0043  -0.0271
5 2007-01-11  24.3 SPY    142.  0.0044  0.0035    0.0052   0.0509   0.103     0.265    0.230 GLD    60.6  0.0007  -0.0165
6 2007-01-12  24.9 SPY    143.  0.0076  0.0192    0.0099   0.0602   0.108     0.265    0.234 GLD    62.2  0.0254   0.0332
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart